My research interest lies in cryptocurrencies and blockchain technologies focused on Decentralized Finance (DeFi), analyses of incentives in protocols, cryptocurrency adoption, smart contracts, and tokenomics.
I am a Research Fellow at Gillmore Centre for Financial Technology. Previosly I lead the research and development of DeFi protocols and spearheaded the design of blockchain economic models at Polygon. I have worked in quantitative roles in traditional finance firms like JPMorgan Chase and ICICI bank. I started my career as a computational fluid dynamics engineer at Ansys.
I hold a PhD in Economics from the University of Warwick, an MA in economics from the Delhi School of Economics, and a Bachelor of Technology from IIT Kanpur.
My research shows that transparent quantitative models can be built to make the DeFi protocols financially stable. The risk assessment simulations can be used to design better DeFi protocols e.g. liquidation logic in Lending protocols. I have worked on stablecoins design. My work shows how blockchain scaling solutions make decentralized exchanges a viable alternative to CLOB-based centralized exchanges. My research also explores the fundamental determinant of interest rates in the cryptocurrency market. I am working on the incentive design of a multi-chain ecosystem with exponential scaling capacity that aims to provide a decentralized internet infrastructure.
PhD in Economics
University of Warwick
MRes in Economics, distinction
University of Warwick
MA in Economics, 2014
Delhi School of Economics
BTech in Chemical Engineering, 2006
Indian Institute of Technology, Kanpur
Keynote on explaining the role of DeFi in Metaverse where talking points included - Challenges Faced by the Metaverse, Why DeFi is the Answer and Need of the Hour to Make It Work.
Keynote presentations and engaging panel debates demystifying the tech. Sessions explore AI Blockchain & Quantum Frontier, DeFi, Metaverse & Web 3.0, Professional Advisory & Regulation, and VCs, Incubators & start-ups.
The Crypto Economics Security Conference (CESC) aims to bring together researchers and practitioners to showcase and discuss the most recent developments in blockchain and Web3. CESC is hosted by Berkeley RDI, a multi-disciplinary campus-wide center, focusing on advancing the science, technology and education of web3, decentralization and empowering of a responsible digital economy.
DAS London is Europe’s leading institutional crypto conference for asset managers and financial services professionals. During this two day in-person event, industry leaders from the world of finance and digital assets gathered to discuss crypto from the perspective of industry practitioners.
Merge 2022 explored the impact web3 is having on financial institutions and fintechs. Top industry leaders and innovators came together and revealed how they’re thinking about - and implementing - web3 solutions to gain a competitive edge.
A panel discussion with Pablo the Penguin, QiDAO; Marcello Cavazzoli- Co-Founder, Lemon; Vasiliy Shapovalov, Co-Founder, LIDO; Stani Kulechov, CEO and Founder AAVE.
The Ethereum Community Conference (EthCC) is the largest annual European Ethereum event focused on technology and community. Three intense days of conferences, networking and learning.
A panel discussion with Ambre Soubiran- CEO Kaiko ;Stani kuchelov - Co-founder, AAVE ;Kain Warwick- Founder, Synthetix; Miles Anthony- Co-founder, Decentral Games
A panel discussion with Vanessa Grellet- Managing Director Algea Venures; Julien Bouteloup, Founder Stake Capital ; Marc Zeller - Head of Developer relations, AAVE
Executing on decentralized exchanges (DEXs) provides a higher level of security for clients’ funds. Clients can execute their trades directly from their own wallet, using smart contracts, and keep custody of their assets. This higher level of security comes at the cost of “gas fees”, which users of a blockchain have to pay to validators for verifying transactions. In this paper, we analyze the effect of gas fees and network speed on execution cost and liquidity distribution on the largest DEX, Uniswap v3. Specifically, we use the entry of Polygon, a scaling solution to the incumbent Ethereum, as an exogenous shock to gas fees reduction and speed increase. We expect that lower gas fees and higher speed on Polygon should lead to higher concentration of liquidity around the market price. Indeed, it becomes easier for liquidity providers to revise their positions and re-post liquidity around the market price. Our preliminary findings show that, whereas overall market depth on Polygon is lower compared to Ethereum, liquidity is indeed more concentrated around the market price. This higher liquidity concentration is especially important for execution of smaller trades. Indeed, we find that price impact for smaller trades (up to $10K) is lower on Polygon, compared to Ethereum.
On November 22nd 2022, the lending platform AAVE v2 (on Ethereum) incurred bad debt resulting from a major liquidation event involving a single user who had borrowed close to $40M of CRV tokens using USDC as collateral. This incident has prompted the Aave community to consider changes to its liquidation threshold, and limitations on the number of illiquid coins that can be borrowed on the platform. In this paper, we argue that the bad debt incurred by AAVE was not due to excess volatility in CRV/USDC price activity on that day, but rather a fundamental flaw in the liquidation logic which triggered a toxic liquidation spiral on the platform. We note that this flaw, which is shared by a number of major DeFi lending markets, can be easily overcome with simple changes to the incentives driving liquidations. We claim that halting all liquidations once a user’s loan-to-value (LTV) ratio surpasses a certain threshold value can prevent future toxic liquidation spirals and offer substantial improvement in the bad debt that a lending market can expect to incur. Furthermore, we strongly argue that protocols should enact dynamic liquidation incentives and closing factor policies moving forward for optimal management of protocol risk.
Using the devaluation of the TerraUSD peg as a case study, this column shows how algorithmic stablecoins are vulnerable to speculative attacks when the system is under-collateralised. The authors point to solutions – stable collateral and over-collateralisation – to stabilise the peg.
We assess the market risk of the lending protocol using a multi-asset agent-based model to simulate ensembles of users subject to price-driven liquidation risk. Our multi-asset methodology shows that the protocol’s systemic risk is small under stress and that enough collateral is always present to underwrite active loans.